Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0578
Annualized Std Dev 0.3245
Annualized Sharpe (Rf=0%) -0.1781

Row

Daily Return Statistics

Close
Observations 3727.0000
NAs 1.0000
Minimum -0.2692
Quartile 1 -0.0063
Median 0.0005
Arithmetic Mean 0.0000
Geometric Mean -0.0002
Quartile 3 0.0070
Maximum 0.3318
SE Mean 0.0003
LCL Mean (0.95) -0.0007
UCL Mean (0.95) 0.0006
Variance 0.0004
Stdev 0.0204
Skewness 0.2108
Kurtosis 48.2200

Downside Risk

Close
Semi Deviation 0.0147
Gain Deviation 0.0165
Loss Deviation 0.0179
Downside Deviation (MAR=210%) 0.0188
Downside Deviation (Rf=0%) 0.0147
Downside Deviation (0%) 0.0147
Maximum Drawdown 0.8529
Historical VaR (95%) -0.0262
Historical ES (95%) -0.0485
Modified VaR (95%) -0.0125
Modified ES (95%) -0.0125
From Trough To Depth Length To Trough Recovery
2007-05-08 2009-03-09 NA -0.8529 3492 463 NA
2007-02-12 2007-03-05 2007-04-16 -0.2078 44 15 29
2006-06-06 2006-07-24 2006-10-03 -0.1777 84 34 50
2007-01-04 2007-01-10 2007-01-25 -0.0598 15 5 10
2006-10-04 2006-10-11 2006-10-27 -0.0452 18 6 12

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA -0.1 -0.3 1.7 1.1 -0.4 -1.1 0.4 0.1 1.5
2007 3.6 -3.4 -0.7 -1.7 1.9 -0.2 -1.4 3 0.5 -1.2 1.9 -0.5 1.7
2008 4 -0.6 6.8 0.4 0.7 -0.1 -0.5 3 2.8 9.1 -3.3 1.9 26.3
2009 -1.6 -1.3 -0.7 -0.8 5.2 -0.2 -0.3 -2.7 0.3 -0.4 2.7 0.5 0.5
2010 1.3 2.2 0.8 0.5 0.2 0 0.4 1.5 0.2 0.2 1.4 2.1 11.3
2011 0.8 -0.3 0.2 -0.7 0 1.2 -0.3 -0.3 -4 -3.3 -0.5 -0.2 -7.3
2012 -0.1 0.1 3 0.9 -2.3 2.3 -0.3 -0.1 -0.7 0.9 0.7 0.5 5
2013 0.5 0 -0.6 -0.1 -1.6 -0.4 -0.7 0.4 2.1 -1.4 -0.2 -0.1 -2.1
2014 0.7 1.3 0.8 0.6 0.6 0.3 -0.8 0.8 -0.1 0.4 -0.9 -1.2 2.5
2015 -1.3 1 0.4 0.6 1.2 1.6 1 -1.3 -0.1 0 1.5 1.1 5.6
2016 0.6 2.2 0.2 -0.2 0.4 0.5 0 -0.1 0 -2.3 -1.7 0.9 0.5
2017 -0.6 0 1.7 0.7 0 0.2 0.5 1.6 0.2 0.2 -0.2 0.9 5.3
2018 -1.4 -0.3 2.2 0.8 0.6 0.5 -0.1 0.4 -0.4 1.1 0.3 -0.8 3.1
2019 -0.9 -1.2 0.3 -0.3 -1.1 -0.1 0.3 -0.3 -0.8 0.7 -0.1 1.1 -2.4
2020 -1.7 -8.3 -10.6 -5.6 3 3.9 -0.9 0 0.8 -2.8 2.8 0.4 -18.5
2021 -0.2 0.4 0.7 NA NA NA NA NA NA NA NA NA 1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-05-26  30.0 SPY    128.  0.0051    0.0101  -0.0202  -0.0083   0.0694    0.342 -2.48e-2 GLD    65.1  0.0062 -0.0073 
2 2006-05-30  30.0 SPY    126. -0.0178   -0.0002  -0.0408  -0.0166   0.0486    0.322 -4.09e-2 GLD    65.1  0.0002 -0.00290
3 2006-05-31  30.1 SPY    128.  0.0112    0.0187  -0.0222  -0.0144   0.0672    0.315 -1.35e-2 GLD    64.2 -0.0135 -0.0324 
4 2006-06-01  30.0 SPY    129.  0.00960   0.0203  -0.0202  -0.0049   0.0683    0.322 -6.90e-3 GLD    62.6 -0.026  -0.0234 
5 2006-06-02  30.0 SPY    129   0.0021    0.0099  -0.0144   0.0019   0.0682    0.320  7.00e-3 GLD    63.5  0.015  -0.0185 
6 2006-06-05  30.2 SPY    127. -0.0146   -0.0098  -0.0323  -0.0082   0.058     0.282  3.00e-4 GLD    63.3 -0.0033 -0.0278 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart